Research On The Relationship Between The Stock Market Volatility And Macroeconomic

As an important "bridge" to link the financial and real economy,stock market plays an irreplaceable role in broadening the financing channels,optimizing the allocation of resources and diversifying the market risks.It is an important platform for safeguarding the healthy development of the economy.The appropriate stock market volatility can promote the economic growth,but excessive stock market volatility will lead to investor panic,and then lead to economic crisis.Macroeconomic economies have a significant impact on stock market volatility in the traditional theory.And macroeconomic tend to act on stock markets through different transmission mechanisms,such as inflation,money supply,and economic growth,which can be generated in different ways through the stock market.However,there is not a clear conclusion how macroeconomic impact on the stock market.This paper studies this problem based on a new metrological model(MIDAS).MIDAS model is a new econometric model developed in recent years.Compared with the traditional model,the biggest advantage is that it allows us to put different frequency data in MIDAS model.It can reduce the information loss in the down-conversion process.So it is considered to be a better way to study mixed frequency data.According to the recent research on the volatility of stock market,it is generally believed that there are many factors influence the stock market volatility,both macro long-term and short-term factors.Scholars generally agree that the stock market volatility can be decomposed into different component.According to the existing research,the volatility of the stock market is decomposed into long and short term.The long term is described by the MIDAS model,and the short term is described by the traditional GARCH process.The research ideas of this paper are as follows:Firstly,this paper use the high frequency ADL-MIDAS model based on ten minutes data to forecast the stock market volatility.Compared with the low frequency ADL-MIDAS model based on daily data,we find the high-frequency ADL-MIDAS model is more accurate.Then,we establish the single factor GARCH-MIDAS model to explore the relationship between the stock market volatility and the value(or volatility)of the macroeconomic variables.And then we establish multi-factor GARCH-MIDAS model consider both the high-frequency data and macro low-frequency data to explore the combined effect of the multi-factor on the long-term composition of the stock market.Finally,we analyze the impact of macroeconomic on the stock market in different economies.We consider the United States and Japan as the mature economy representative,and China and India as the new economy representative.Under the China's economic conditions,the empirical result shows that the pre-index can be more effective than the lead-index to describe the volatility of the Chinese stock market.We also find that interest rate and inflation have more significant impact on the stock market.And M2,IP have a small impact on the stock market.Moreover,the impact of macroeconomic fluctuation on the stock market is significantly higher than its level's.It is more effective when consider both stock market high-frequency data and macro low-frequency data in the GARCH-MIDAS model.Finally,compared with the different economies,we found that the developed countries stock market can play a good macro "forecasting" function when predict the macroeconomic fluctuations.But in the developing countries,stock market's forecasting function is not obvious.In developing countries,since interest rate is not completely free to fluctuate,the stock market is more sensitive to interest rates.Interest rate is an effective means of macro-control.In developed countries,monetary policy is more effective than interest rate policy.